Simple Summary: The main dairy area of the country is in the arid central north of Mexico (25 • NL). It is characterized by a dry climate with high temperatures, where dairy cattle are subject to prolonged periods of heat stress (HS). Due to this, through the THI and the year's seasons, the effect of HS upon milk production, feed-to-milk efficiency, and cow comfort was evaluated in 2467 Holstein-Friesian cows between 2016 and 2019 in an intensive dairy management system. Total milk production decreased as THI increased, while milk composition also suffered changes due to HS. The percentage of cows in production and cows' lying time exhibited a visible drop from a THI of 68-71. Differences were also observed across seasons, with the highest milk production values in Winter and Spring and the lowest in Summer. In the same way, lying time differed among seasons, with a longer resting time in Winter and less time in Summer. Finally, the potential economic burden that HS caused at the producer and industry-market levels and its impact on nutrient and alimentary security at the societal level were also quantified. Abstract: The possible effect of heat stress (HS), measured with the temperature-humidity index (THI) across seasons of the year (SY) upon milk production (MP), feed-to-milk efficiency (FME), and cow comfort (CC) was assessed in Holstein-Friesian cows in northern-arid Mexico. Data from 2467 cows (2146 milking and 321 dry) were recorded across SY [spring (SP), summer (SM), autumn (AT), and winter (WN)] between 2016 and 2019 in an intensive dairy farm located in the Comarca Lagunera (25 • NL) with large fluctuations regarding ambient temperature and solar radiation. The THI was stratified into four classes: non-HS, <68; light HS, 68-71; moderate HS, 72-76; and intense HS, ≥77. The considered response variables were Milk production: both on a farm basis (totMP) and on a cow basis (cowMP); Nutritional efficiency: dry matter intake (DMI, kg); Feed conversion efficiency (FCE, kg) and energy-corrected milk (ECM, kg); Percentage of milking cows: (MC%); and Cow comfort: lying time (LT, h). Analyses of variance for unbalanced data were performed through "R". Both totMP and cowMP differed (p < 0.05) as HS increased; the largest values (i.e., 77,886 L and 35.9 L) occurred at lower THIs (i.e., <68 and 68-71) while the milk production fell (i.e., 66,584 L and 31.7 L) with the highest THIs (i.e., ≥77). Not only feed-to-milk efficiency (i.e., DMI, FCE, and ECM) but also the MC% exhibited a similar trend; a visible drop (p < 0.05) occurred from a THI of 68-71 onwards. Furthermore, the LT declined as the THI augmented, from 10.6 h at <68 to 8.5 h at ≥77. Moreover, differences (p < 0.05) also arose across seasons; TotMP, cowMP, DMI, FCE, and ECM revealed their largest (p < 0.05) values in WN and SP, halfway ones in AT, with the lowermost figures Animals 2023, 13, 1715. https://doi.org/10.3390/ani13101715 https://www.mdpi.com/journal/animals Animals 2023, 13, 1715 2 of 14 in SM. In the same way, cow comfort differed (p < 0.05) among seasons, with diverse lying times (h); WT, 10.5; AT, 10.20; SP, 9.3 h; and 8.8 in SM. Finally, the potential economic burden that HS caused at the producer (USD 233.2 million) and industry-market levels (USD 311.1 M), as well as its impact upon nutrient and alimentary security at the society level (i.e., 311 M milk liters and 195,415.82 Gcal), were also quantified.